Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/334848 
Year of Publication: 
2026
Citation: 
[Journal:] Journal of Asset Management [ISSN:] 1479-179X [Volume:] 27 [Issue:] 1 [Article No.:] 4 [Publisher:] Palgrave Macmillan UK [Place:] London [Year:] 2026
Publisher: 
Palgrave Macmillan UK, London
Abstract: 
Since the Paris Agreement in 2015 and the European Union’s commitment to leading the transition toward a sustainable economy, the European market for passively managed ESG products has experienced remarkable growth. This study examines the financial performance of 34 European ESG ETFs linked to the MSCI Europe Index from 2015 to 2024, taking into account key events like the Paris Agreement, COVID-19, and the Russia-Ukraine conflict. To assess ESG ETF performance, we apply the Sharpe (Sharpe, Management Science 9:277–293, 1963) index model and the Fama French (Fama and French, Journal of Financial Economics 116:1–22, 2015) five-factor model. Furthermore, we analyze how geopolitical crises, health crises, and the choice of ESG strategy are related to ETF performance. The results indicate that the ESG strategy itself shows only a limited relationship with alpha values, but is related with the sensitivity to market fluctuations. Moreover, we find that ESG ETFs tend to underperform their non-sustainable benchmarks during periods of geopolitical turmoil, accompanied by increased risk exposure, as observed during the Russia–Ukraine conflict.
Subjects: 
ESG ETF
Performance
Sensitivity
ESG strategy
COVID-19 pandemic
Russian–Ukraine conflict
Paris agreement
Taxonomy
JEL: 
G12
G13
G14
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article
Document Version: 
Published Version

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